Imitation, stock markets and Stackelberg games

Fausto Mignanego, Paola Modesti

Risultato della ricerca: Contributo in rivistaArticolo in rivistapeer review

1 Citazioni (Scopus)

Abstract

Abstract: There is a wide literature about the behaviour of agents in a stock-market in the presence of imitation phenomena. Some issues may be treated in a game-theory context. In particular, we consider a micro-model of stock-market speculator and formalise it in a Stackelberg game. The problem consists in maximising the utility of two agents (called Leader and Follower) under the assumption that the latter also takes into account the Leader’s opinion on the future value of a stock. The results show new relations between the optimal policies of the two agents.
Lingua originaleEnglish
pagine (da-a)84-97
Numero di pagine14
RivistaInternational Journal of Applied Management Science
Volumevol 6 n. 1 2014
DOI
Stato di pubblicazionePubblicato - 2014

Keywords

  • imitation stock markets Stackelberg games

Fingerprint Entra nei temi di ricerca di 'Imitation, stock markets and Stackelberg games'. Insieme formano una fingerprint unica.

Cita questo